Optimal spreading when spreading is optimal

DOI10.1016/S0165-1889(97)00120-6MaRDI QIDQ1274857zbMATH OpenOpenAlexWikidataFDO

Authors Abraham Lioui, Rafael Eldor

Publication date 12 January 1999

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(97)00120-6

zbMATH Keywords

stochastic interest ratesincomplete marketsinter-market spreading

Mathematics Subject Classification ID

Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
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• Endogenous determination of the degree of market-incompleteness in futures innovation
• Financial market innovation and security design: An introduction
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Mean-variance hedging for general claims
• Mean-variance hedging in continuous time
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal hedging and equilibrium in a dynamic futures market
• Optimal hedging and spreading in cointegrated markets
• Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
• Pricing continuously resettled contingent claims
• Welfare effects of financial innovation in incomplete markets economies with several consumption goods

Cited in

(2)

• Pricing forward-futures spread based on copulas with stochastic simulation
• The minimum variance hedge ratio under stochastic interest rates

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